scholarly journals Optimal Investment and Risk Control Strategies for an Insurance Fund in Stochastic Framework

2019 ◽  
Vol 09 (03) ◽  
pp. 254-265
Author(s):  
Patrick Kandege Mwanakatwe ◽  
Xiaoguang Wang ◽  
Yue Su
Keyword(s):  
Control Strategies ◽  
Risk Control ◽  
Optimal Investment ◽  
Insurance Fund ◽  
Stochastic Framework

Optimal asset allocation for a bank under risk control

2018 ◽  
Vol 05 (03) ◽  
pp. 1850022 ◽  
Author(s):  
Ryle S. Perera ◽  
Kimitoshi Sato
Keyword(s):  
Asset Allocation ◽  
Control Strategies ◽  
Risk Control ◽  
Closed Form Solution ◽  
Optimal Investment ◽  
Form Solution ◽  
Capital Adequacy ◽  
Stock Index ◽  
Risk Exposure ◽  
Price Dynamics

Motivated by the Basel III requirement we analyze an optimal Capital Adequacy Ratio subject to foreclosure risk exposure. We assume that the banker invests in treasuries, a stock index and a loan portfolio, where he/she wishes to maximize his/her expected utility of terminal wealth by selecting optimal investment and risk control strategies. The dynamics of the stock index and the banker’s risk exposure towards foreclosure is modeled as two independent compensated pure jump Lévy Processes. By applying the martingale approach we obtain a closed form solution for this optimization problem under a quadratic utility function. A negative correlation between the banker’s foreclosure risk and the price dynamics of stock index will result in a reduced amount invested in stock index fund while a positive correlation between the banker’s foreclosure risk and the price dynamics of stock index will increase the amount invested in stock index fund.

scholarly journals Financial Credit Risk Control Strategy Based on Weighted Random Forest Algorithm

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Guo Yangyudongnanxin
Keyword(s):  
Risk Assessment ◽  
Random Forest ◽  
Credit Risk ◽  
Control Strategy ◽  
Control Strategies ◽  
Risk Control ◽  
Evaluation Index System ◽  
Risk Level ◽  
Random Forest Algorithm ◽  
Financial Credit

In order to improve the effectiveness of financial credit risk control, a financial credit risk control strategy based on weighted random forest algorithm is proposed. The weighted random forest algorithm is used to classify the financial credit risk data, construct the evaluation index system, and use the analytic hierarchy process to evaluate the financial credit risk level. The targeted risk control strategies are taken according to different risk assessment results. We compared the proposed method with two other methods, and the experimental results show that the proposed method has higher classification accuracy of financial credit data and the risk assessment threshold is basically consistent with the actual results.

scholarly journals Stochastic approach to study control strategies of Covid-19 pandemic in India

2020 ◽  
Vol 148 ◽  
Author(s):  
Athokpam Langlen Chanu ◽  
R. K. Brojen Singh
Keyword(s):  
Control Strategies ◽  
Critical Role ◽  
Stochastic Approach ◽  
Effective Control ◽  
Demographic Stochasticity ◽  
Social Distancing ◽  
Exposed Population ◽  
Stochastic Framework ◽  
Simulation Results ◽  
Susceptible Populations

Abstract India is one of the severely affected countries by the Covid-19 pandemic at present. Within the stochastic framework of the SEQIR model, we studied publicly available data of the Covid-19 patients in India and analysed possible impacts of quarantine and social distancing as controlling strategies for the pandemic. Our stochastic simulation results clearly show that proper quarantine and social distancing should be maintained right from the start of the pandemic and continued until its end for effective control. This calls for a more disciplined social lifestyle in the future. However, only social distancing and quarantine of the exposed population are found not sufficient enough to end the pandemic in India. Therefore, implementation of other stringent policies like complete lockdown as well as increased testing of susceptible populations is necessary. The demographic stochasticity, which is quite visible in the system dynamics, has a critical role in regulating and controlling the pandemic.

scholarly journals Identification and Prioritization of Risk and Its Effect of the Renewable Energy Life Cycle Based on Performance and Risk Indicators

2019 ◽  
Vol 2 (2) ◽  
pp. p61
Author(s):  
Hassan Farsijani ◽  
Maryam Moradi
Keyword(s):  
Risk Factors ◽  
Renewable Energy ◽  
Life Cycle ◽  
Electricity Market ◽  
Risk Control ◽  
Optimal Investment ◽  
Energy System ◽  
Risk Indicators ◽  
High Risk Factors ◽  
Investment Portfolios

Risk management consists of two aspects of risk control and risk assessment in the electricity market. So, risk control should cover the risk and work out of the way of optimal investment portfolios. Thus, the aim of this research is producing solar electricity life cycle profitability. First to identify existing risks in the production of electricity using Delphi technique between 300 experts in 15 Powerhouse. Then, the grey ANP model was the adoption of the New Energy Organization of Iran. The number of risk factors were collected by subject literature in renewable energy in Iran that have analyzed and selected the high-risk factors by ANP GREY method. Finally, to examine the life cycle of solar power, the authors analyzed financial indicators and the life cycle’s factors which relates to performance and risk variables, then, the Regression model used in three stages of life cycle. Finally, the result provides incentives for the energy system to support production renewable electricity and aid to increase the profitability of the renewable energy cycle.

scholarly journals Optimal investment and risk control problems with delay for an insurer in defaultable market

2020 ◽  
Vol 16 (5) ◽  
pp. 2563-2579
Author(s):  
Chao Deng ◽  
◽  
Haixiang Yao ◽  
Yan Chen ◽  
◽  
...  
Keyword(s):  
Risk Control ◽  
Optimal Investment ◽  
Control Problems

scholarly journals Research on Risk Control Strategies of Consumer Finance Based on Big Data Technology

2021 ◽  
Vol 6 (1) ◽  
pp. 40
Author(s):  
Ziwei Wang
Keyword(s):  
Economic Development ◽  
Big Data ◽  
High Speed ◽  
Control Strategies ◽  
Risk Control ◽  
Domestic Demand ◽  
Internet Technology ◽  
Consumer Finance ◽  
New Generation ◽  
Big Data Technology

China’s economic development is from high speed to high quality. Developing consumer finance has become a new growth point of China’s economic development and one of the important ways to expand domestic demand. Consumer finance is based on the development of new generation Internet technology and big data, becoming a new trend of China’s financial development and attracting the attention of various industries.

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